Penelope became interested in filmmaking at an early age, when she began making short films with her father's Super 8 camera. As a teenager, she attended the University of California at Berkeley where she studied classical theater and film directing. Upon graduating, she moved to Los Angeles to join the world of filmmaking.
Her first film was The Decline of Western Civilization (1981). Spheeris has directed over twenty films including the critically acclaimed documentary The Decline of Western Civilization Part II: The Metal Years (1988) which was nominated for an Academy Award for Best Documentary Feature.